Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1007
Annualized Std Dev 0.2473
Annualized Sharpe (Rf=0%) 0.4071

Row

Daily Return Statistics

Close
Observations 3606.0000
NAs 1.0000
Minimum -0.1526
Quartile 1 -0.0064
Median 0.0011
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0080
Maximum 0.1137
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0156
Skewness -0.4491
Kurtosis 8.5381

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0106
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.6033
Historical VaR (95%) -0.0243
Historical ES (95%) -0.0381
Modified VaR (95%) -0.0244
Modified ES (95%) -0.0482
From Trough To Depth Length To Trough Recovery
2007-07-20 2009-03-09 2013-01-17 -0.6033 1378 412 966
2020-02-20 2020-03-23 2020-08-06 -0.3627 118 23 95
2018-09-17 2018-12-24 2019-06-20 -0.2824 189 69 120
2015-02-25 2016-02-11 2016-07-12 -0.2115 347 244 103
2014-03-10 2014-10-13 2015-02-24 -0.1651 243 152 91

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -1.1 -1.1 -0.4 -2.6
2007 1.8 0.2 0 0.7 0.6 -0.2 1 1.2 2.2 -2.5 0.3 -1.1 4.3
2008 1.6 -2.9 2.9 1.3 0.8 -0.5 -0.7 -0.8 -2 3 -7.4 4.2 -0.9
2009 -2.5 -2.3 1.4 1.3 4.3 1.2 0.6 -1.7 -2.1 -2.7 1.2 -0.6 -2.1
2010 0.6 2.1 0.2 -2 -3.3 -0.6 0.5 3.7 0.2 -0.2 2.7 -0.2 3.7
2011 2.2 -2 0.8 0.4 -3.6 1.7 -0.8 -1.4 -3.3 -3.4 1.1 -0.2 -8.4
2012 2 0.2 -0.4 0.3 -3.3 3.7 -1.5 0.6 1.4 1.4 0.6 0.3 5.1
2013 0.6 0 -1.7 -1.7 -0.6 1.6 1.9 -1.3 1.3 0.6 0 0.3 0.8
2014 -0.5 0.2 1 -0.4 -0.3 0.9 -0.1 0.3 -2.4 1.8 -1.9 -1 -2.4
2015 -1.5 -0.3 -0.5 1.5 0.5 0.5 0.2 -3 0.3 0.4 0.6 -0.5 -1.8
2016 -0.7 2 1.1 -0.8 0.6 0.1 0.5 -0.5 0.6 -0.8 -0.8 -0.5 0.6
2017 0 2.1 0.1 0 0.9 0.5 -0.1 0.6 0.3 -0.8 -1.4 -0.6 1.7
2018 -0.2 -2.5 1.3 -1.1 1.1 1.8 -0.7 0.2 -0.7 1.6 0 0.8 1.5
2019 0.4 0.7 1.8 -0.2 -1 1.2 -0.7 -0.1 -1.7 1.3 -0.6 0 1.1
2020 -2 -2.1 -5.8 -2.4 0.5 0 -0.4 1.7 0.8 -2.3 -0.1 0.6 -11.1
2021 1.7 3.9 0.3 NA NA NA NA NA NA NA NA NA 6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart